Indirect Inference Estimation of Nonlinear Dynamic General Equilibrium Models : With an Application to Asset Pricing under Skewness Risk

This paper proposes a nonlinear impulse-response matching procedure explicitly designed to estimate nonlinear dynamic models, and illustrates its applicability by estimating a macro-finance model of asset pricing under skewness risk. As auxiliary model, a new class of nonlinear vector autoregressions (NVAR) based on Mittnik (1990) is proposed.

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Year of publication:	2014
Authors:	RUGE-MURCIA, Francisco
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	nonlinear vector autoregression \| nonlinear impulse responses \| skewness risk

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Extent:	application/pdf
Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	39 pages
Classification:	C51 - Model Construction and Estimation ; c58
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011122149